Actualités et agenda
Nos formations
Établissement
Matières
FINANCE
Responsable(s)
M.PETITJEAN
Intervenant(s)
Mikael PETITJEAN
Eric BATTINI, guest speaker
Eric BATTINI, guest speaker
Présentation
Prérequis
- Describe all the key features of a fixed-income security.
- Identify the risks associated with investing in bonds.
- Identify the different bond sectors and instruments.
- Understand yield spreads.
- Value some key debt instruments.
- Use yield measures, spot rates and forward rates appropriately.
- Measure interest rate risk.
- Identify the risks associated with investing in bonds.
- Identify the different bond sectors and instruments.
- Understand yield spreads.
- Value some key debt instruments.
- Use yield measures, spot rates and forward rates appropriately.
- Measure interest rate risk.
Objectifs
At the end of the course, the student should be able to :
- consider the importance of benchmark selection when managing a portfolio;
- understand immunization strategies to fund a liability structure, including classical immunization, contingent immunization, and cash flow matching ;
- evaluate the effect of leverage on portfolio duration and investment returns ;
- construct and evaluate an immunization strategy based on interest rate futures ;
- critique risk measures ;
- value the impact of holding foreign bonds in terms of risk and return ;
- illustrate how breakeven spread analysis can be used to evaluate the risk in seeking yield advantages across international bond markets.
- consider the importance of benchmark selection when managing a portfolio;
- understand immunization strategies to fund a liability structure, including classical immunization, contingent immunization, and cash flow matching ;
- evaluate the effect of leverage on portfolio duration and investment returns ;
- construct and evaluate an immunization strategy based on interest rate futures ;
- critique risk measures ;
- value the impact of holding foreign bonds in terms of risk and return ;
- illustrate how breakeven spread analysis can be used to evaluate the risk in seeking yield advantages across international bond markets.
Présentation
Chapter 1
Bond Portfolio Benchmarks, Strategies, and Selection
Alignment of Risk Exposures
Scenario Analysis
Classical Immunization
Duration contribution, Dollar Duration Adjustment, and Spread Duration
Extension to Classical Immunization
Immunization Risks
Immunizing Single and Multiple Liabilities, and General Cash Flows
Chapter 2
Leverage Effect and Repurchase Agreements
Bond Risk Measures
Managing Interest rate Risk with Interest Rate Futures (Dollar Duration, Duration Management)
Managing Default Risk, Credit Spread Risk, and Downgrade Risk With Derivatives
Internation Bond Excess Returns and Duration (with Hedging Decision)
Breakeven Spread Analysis
Bond Portfolio Benchmarks, Strategies, and Selection
Alignment of Risk Exposures
Scenario Analysis
Classical Immunization
Duration contribution, Dollar Duration Adjustment, and Spread Duration
Extension to Classical Immunization
Immunization Risks
Immunizing Single and Multiple Liabilities, and General Cash Flows
Chapter 2
Leverage Effect and Repurchase Agreements
Bond Risk Measures
Managing Interest rate Risk with Interest Rate Futures (Dollar Duration, Duration Management)
Managing Default Risk, Credit Spread Risk, and Downgrade Risk With Derivatives
Internation Bond Excess Returns and Duration (with Hedging Decision)
Breakeven Spread Analysis
Modalités
Organisation
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours interactif | 16,00 | Theoretical consideration with applications | |
| Distanciel | |||
| Video-Conferences | 10,00 | Prerequisites for each interactive course | |
| Autoformation | |||
| Lecture du manuel de référence | 8,00 | Prerequisites for each interactive course | |
| Travail personnel | |||
| Charge de travail personnel indicative | 16,00 | Answer MCQs as preparation for the interactive course | |
| Overall student workload | 50,00 | ||
Évaluation
The exam is based on MCQs and mini-case studies based on real-life problems.
Ressources
Bibliographie
CFA Institute (2017), Fixed Income and Equity Portfolio Management, Study Sessions 10 and 11, Readings 20 to 22, 154p. -
Bolder, D. J. (2015), Fixed-Income Portfolio Analytics: A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios, Springer. -
Bolder, D. J. (2015), Fixed-Income Portfolio Analytics: A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios, Springer. -
Ressources Internet